Μακροχρόνιες και βραχυχρόνιες συνιστώσες του συστηματικού κινδύνου των μετοχών
Master Thesis
Author
Τριπολιτάκης, Γεώργιος Π.
Date
2011-12-09View/ Open
Subject
Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Υπόδειγμα αποτίμησης κεφαλαιακών στοιχείων ; Διαχείριση χαρτοφυλακίουAbstract
This thesis studies the influence of the frequency domain analysis on the standard CAPM model. For this purpose, we examine the monthly performance of three different types of portfolios, the book to market, momentum and size portfolios, which are widely used in the related literature. Moreover, we distinguish between two different time periods for which the standard CAPM model shows different behavior. The analysis in the frequency domain (spectral analysis) gives us the tools to isolate the inherent cyclic characteristics of the time series and indeed, as we will show, by maintaining the volatility of the original time series in selected cyclical periods. In this way, we can filter out short-term and long-term influences, seeking to improve the characteristics of classic CAPM, which is discharged in the period 1963-2010 and, simultaneously, cannot price the risk in the further cross-sectional analysis into size and book to market portfolios.